Yang, Zhaojun, Ewald, Christian-Oliver and Menkens, Olaf (2011) Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus. Mathematical Methods of Operations Research (ZOR), 74 (1). pp. 93-120. ISSN 1432-5217
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Abstract
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and price of the Asian option as an analytic expression. Numerical computations which are based on this expression are provided.
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Uncontrolled Keywords: | Asian options; option pricing; hedging; Malliavin calculus |
| Subjects: | UNSPECIFIED |
| DCU Faculties and Centres: | DCU Faculties and Schools > Faculty of Science and Health > School of Mathematical Sciences |
| Publisher: | Springer Verlag |
| Official URL: | http://dx.doi.org/10.1007/s00186-011-0352-7 |
| Copyright Information: | © 2011 Springer-Verlag. The original publication is available at www.springerlink.com |
| Use License: | This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License |
| ID Code: | 16746 |
| Deposited On: | 10 Jan 2012 14:29 by Olaf Menkens . Last Modified 19 Jul 2018 14:55 |
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